Graph-of-the-Year Candidates
Donald Marron likes European interest rates. Click on the image to get a bigger version. Can you find three distinct subperiods?
Brad DeLong favors the U.S. gdp gap.
Finally, it's hard to argue against the payroll employment graph below (straight from FRED) and the comparison across recessions (courtesy of Calculated Risk).
Looking Up At 2001
In February 2001, U.S. payroll employment peaked at 132.5 million. The November 2011 figure of 131.7 million still falls 800,000 jobs short of the earlier peak.
Click on the chart for a larger version.
November Payroll Employment
Remember M1?
Money Supply M1 growth is now over 20% per year over a 12 month lag. M1 growth has touched 20% before, but not with excess reserves of $1.6 trillion. Where is M1 headed?
Click on the chart for a larger version.
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Fama/French Forum
""ideas and observations from Fama and French”
January 30, 2012, 11:04 am, 947207
What is the best way to describe the distribution of stock returns—a normal distribution, lognormal, or something else? What should investors do with this information?(
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January 23, 2012, 11:04 am, 944635
In addressing a previous question (
"Has the Equity Premium Puzzle Gone Away?"), you suggested that it requires 35 years or more to be reasonably confident of achieving a positive equity premium. Is the time frame similar for the size and value premiums? (
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...
January 17, 2012, 11:04 am, 942467
Baker, Bradley and Wurgler (FAJ 2011) find that low-volatility stocks in the US outperform high-volatility stocks and attribute this apparent anomaly to investor behavioral biases as well as limits to arbitrage. What do you make of their argument?(
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January 9, 2012, 11:04 am, 939562
We often hear the claim that some markets are less efficient than others—small company stocks, emerging markets, foreign exchange, and so on. Is there any evidence to support this assertion?(
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November 14, 2011, 1:04 pm, 920394
Professor Eugene Fama discusses the
connections between the financial crisis of 2008 and efficient markets, economic growth, and market volatility with students from the Chicago Booth Finance Club on October 15 at the Gleacher Center.Professor Eugene Fama discusses the connections between the financial crisis of 2008 and efficient markets, ...
July 3, 2011, 11:03 pm, 870893
Rising government spending around the world has many investors considering ways to hedge potential inflation, which may include holding TIPS or rolling over short-term Treasury securities. Ken French explains that investors can essentially eliminate inflation uncertainty by buying TIPS that mature when they want to consume. However, uncertainty about changes ...
July 3, 2011, 11:03 pm, 870892
Can principal-guaranteed products help an investor better manage portfolio risk? Ken French explains that principal protection would certainly be attractive if it were free. Unfortunately for investors, it is not. French discusses potential problems with principal-guaranteed products and argues that before purchasing these instruments investors should consider portfolio solutions ...
June 27, 2011, 11:04 am, 868603
Data from
Ken French's website shows that sorting stocks on E/P or CF/P data produces a bigger spread than BtM over the last 55 years. Wouldn't it make sense to use these other factors in addition to BtM to distinguish value from growth stocks?(
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June 20, 2011, 11:04 am, 866247
What is the merit, if any, in using a country weighting scheme based on Gross Domestic Product (GDP) rather than market capitalization?(
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June 13, 2011, 11:04 am, 863769
Are expected returns for "socially responsible" strategies lower compared to a conventional approach?(
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